Numerical method for optimal portfolio in an exponential utility regime-switching model

Miglena N. Koleva, Lubin G. Vulkov
  • International Journal of Computer Mathematics, February 2018, Taylor & Francis
  • DOI: 10.1080/00207160.2018.1440289

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http://dx.doi.org/10.1080/00207160.2018.1440289

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